CNP Options History — July 2020

In July 2020, CNP traded between $18.87 and $20.16. ATM implied volatility averaged 40.0%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 7.8% (HV 20d: 32.2%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 6.21.

Notable Days

  • 2020-07-09: Highest Volume — 30,508 contracts
  • 2020-07-06: Largest IV spike — 11.2% change
  • 2020-07-13: Highest IV Rank — 29.2%
  • 2020-07-13: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.41$18.87$20.16$19.29$19.03
Max Pain$18.91$18.00$19.00$18.00$19.00
ATM IV40.0%36.4%43.1%36.4%38.0%
Expected Move11.6%9.3%12.2%10.0%11.9%
HV 20d32.2%29.4%37.7%37.7%30.5%
HV 60d46.2%42.9%53.6%53.6%42.9%
IV Rank26.1%22.5%29.2%22.5%24.1%
IV Percentile70.8%62.3%78.6%67.5%63.1%
Term Structure0.0%-3.0%4.4%2.8%-1.6%
VWIV39.8%31.2%42.6%35.4%39.5%
Skew 25d6.7%3.7%16.4%3.7%6.7%
Skew 10d19.1%-24.2%31.5%15.8%24.3%
Call IV 25d37.3%28.9%40.9%37.3%36.7%
Put IV 25d44.0%40.8%46.5%41.0%43.4%
Bid-Ask Spread %17.3010.8225.6418.9313.82
Gamma HHI0.270.170.460.390.20
Net GEX-2.5M-5.7M-853.0K-4.3M-1.6M
Net DEX23.0M8.3M34.7M27.9M31.8M
Net VEX-472.1K-533.1K-441.0K-482.6K-456.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.210.12112.840.410.94
Total Volume2,917.59122730,508740550
Total OI171,964.091136,278215,959185,353138,599

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-07-01$19.29$18.0036.4%10.0%37.7%22.5%35.4%3.7%2.8%-4.3M27.9M-482.6K0.4118.93N/AN/A52521538,853146,500
2020-07-02$19.53$18.0036.6%9.3%35.6%22.7%31.2%5.9%4.4%-3.4M13.8M-458.5K0.1215.73N/AN/A2,07025238,743146,606
2020-07-06$19.55$19.0040.7%11.6%35.0%26.8%39.4%5.3%1.2%-3.7M16.6M-446.3K10.3823.72N/AN/A1,61816,79138,545146,385
2020-07-07$19.48$19.0041.0%11.9%31.7%27.1%41.8%4.0%-0.4%-3.6M15.5M-441.9K1.5518.33N/AN/A18528638,800146,587
2020-07-08$19.35$19.0041.5%12.1%30.9%27.6%41.7%5.2%-0.1%-4.1M20.4M-441.0K0.7518.71N/AN/A24318238,870146,713
2020-07-09$18.87$19.0042.1%11.9%31.9%28.2%42.6%5.0%0.2%-5.7M34.7M-448.8K112.8425.64N/AN/A26830,24038,968146,680
2020-07-10$19.26$19.0041.9%12.0%29.6%28.0%40.8%5.5%0.8%-4.5M31.2M-533.1K0.9917.85N/AN/A20620439,012176,860
2020-07-13$19.27$19.0043.1%12.2%29.5%29.2%42.0%5.5%-0.8%-4.9M33.3M-521.4K0.4821.71N/AN/A35917338,720176,625
2020-07-14$19.37$19.0041.9%12.1%29.4%28.0%40.9%6.5%0.3%-2.8M22.7M-506.4K0.5417.31N/AN/A33718338,691176,735
2020-07-15$19.36$19.0041.6%12.1%29.4%27.7%40.6%6.8%1.1%-2.4M21.3M-499.4K1.1813.62N/AN/A1,1701,37538,893176,818
2020-07-16$19.32$19.0040.9%12.0%29.4%26.9%40.2%7.9%1.5%-1.0M19.6M-496.6K0.5715.89N/AN/A29216638,970176,925
2020-07-17$19.87$19.0039.7%11.3%30.6%25.8%39.6%16.4%0.9%-853.0K8.3M-474.2K0.3219.50N/AN/A55017538,977176,982
2020-07-20$19.20$19.0040.3%11.4%32.4%26.3%39.6%5.9%1.2%-1.4M28.4M-481.3K0.5115.19N/AN/A59730332,834103,444
2020-07-21$19.36$19.0040.4%11.6%32.4%26.5%40.0%7.1%-2.4%-1.4M25.8M-475.8K0.6414.12N/AN/A40526033,257103,702
2020-07-22$20.05$19.0039.2%11.2%34.3%25.3%39.4%6.7%-1.4%-1.1M14.3M-459.8K0.5817.37N/AN/A39022833,574103,949
2020-07-23$20.16$19.0038.7%11.1%34.0%24.8%38.9%5.4%0.0%-961.3K11.1M-455.4K0.1913.26N/AN/A73913933,712104,154
2020-07-24$19.72$19.0040.1%11.7%34.2%26.2%40.3%7.7%-3.0%-1.2M19.0M-462.6K0.5214.69N/AN/A33317433,849104,256
2020-07-27$18.99$19.0039.3%11.5%35.5%25.3%38.7%6.9%-1.6%-1.6M31.8M-465.2K0.7916.41N/AN/A34627333,382104,070
2020-07-28$19.36$19.0039.8%11.6%32.3%25.8%40.3%7.7%-1.4%-1.4M25.6M-463.7K0.8916.46N/AN/A12010733,481104,277
2020-07-29$19.45$19.0037.1%11.5%32.1%23.2%40.2%9.6%0.7%-1.4M24.2M-453.2K0.5921.57N/AN/A31518533,547104,359
2020-07-30$19.14$19.0039.4%11.9%30.8%25.5%41.3%7.1%-1.4%-1.6M29.4M-461.1K0.7710.82N/AN/A37228633,812104,494
2020-07-31$19.03$19.0038.0%11.9%30.5%24.1%39.5%6.7%-1.6%-1.6M31.8M-456.8K0.9413.82N/AN/A28426633,982104,617